Unable to start auditd
Solution 1:
It appears the kernel I am using 2.6.32-042stab056.8 SMP which comes packaged with OpenVZ does not support auditd.
Solution 2:
Error setting audit daemon pid (Connection refused)
Looks like it is unable to write the pid file (usually in /var/run). Make sure that the daemon has permissions to write to that directory to write the pid file.